Bayesian Analysis of DSGE Models
From MaRDI portal
Publication:5292342
DOI10.1080/07474930701220071zbMATH Open1112.62015OpenAlexW3125823678MaRDI QIDQ5292342FDOQ5292342
Authors: Sungbae An, Frank Schorfheide 
Publication date: 20 June 2007
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/362
Recommendations
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Solving linear rational expectations models
- Maximum Likelihood Estimation of Misspecified Models
- Sampling and Bayes' Inference in Scientific Modelling and Robustness
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Filtering via Simulation: Auxiliary Particle Filters
- Bayes Factors
- Monte Carlo sampling methods using Markov chains and their applications
- Title not available (Why is that?)
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Marginal Likelihood From the Metropolis–Hastings Output
- Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
- An introduction to modern Bayesian econometrics.
- Contemporary Bayesian Econometrics and Statistics
- Methods for applied macroeconomic research.
- Title not available (Why is that?)
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
- A Bayesian approach to dynamic macroeconomics
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- Econometric analysis of linearized singular dynamic stochastic general equilibrium models
- Time to Build and Aggregate Fluctuations: Some New Evidence
- Time to Build and Aggregate Fluctuations
- Comparing dynamic equilibrium models to data: a Bayesian approach
- A method for taking models to the data
- Solving dynamic equilibrium models by a method of undetermined coefficients
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- The Solution of Linear Difference Models under Rational Expectations
- Comparing solution methods for dynamic equilibrium economies
- Using the generalized Schur form to solve a multivariate linear rational expectations model
- Accuracy of stochastic perturbation methods: The case of asset pricing models
- Econometric Model Determination
- Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
- Accuracy in Simulations
- Euro-dollar real exchange rate dynamics in an estimated two-country model: an assessment
Cited In (only showing first 100 items - show all)
- Introduction to the symposium on bubbles, multiple equilibria, and economic activities
- A solution to the global identification problem in DSGE models
- EMPIRICAL PROPERTIES OF CLOSED- AND OPEN-ECONOMY DSGE MODELS OF THE EURO AREA
- DSGE models with Student-\(t\) errors
- Testing for weak identification in possibly nonlinear models
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Global identification of linearized DSGE models
- Factor analysis in a model with rational expectations
- The implications of inflation in an estimated New Keynesian model
- Bayesian Analysis of DSGE Models—Some Comments
- Bayesian Analysis of DSGE Models by S. An and F. Schorfheide
- Bayesian Analysis of DSGE Models—Rejoinder
- Bayesian prior elicitation in DSGE models: macro- vs micropriors
- Learning, monetary policy rules, and macroeconomic stability
- Yield curve in an estimated nonlinear macro model
- Striated Metropolis-Hastings sampler for high-dimensional models
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- Cross-border banking flows spillovers in the eurozone: evidence from an estimated DSGE model
- Factor adjustment costs: a structural investigation
- Consistent variance of the Laplace-type estimators: application to DSGE models
- Monetary policy, external instruments, and heteroskedasticity
- A Bayesian approach to optimal monetary policy with parameter and model uncertainty
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- DSGE models with observation-driven time-varying volatility
- Tractable likelihood-based estimation of nonlinear DSGE models
- Confronting model misspecification in macroeconomics
- Comparing dynamic equilibrium models to data: a Bayesian approach
- Assessing DSGE model nonlinearities
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- Methods to estimate dynamic stochastic general equilibrium models
- On the statistical identification of DSGE models
- Comparing DSGE-VAR forecasting models: how big are the differences?
- Tailored randomized block MCMC methods with application to DSGE models
- Linear rational-expectations models with lagged expectations: a synthetic method
- Bayesian estimation of DSGE models: identification using a diagnostic indicator
- Fiscal news and macroeconomic volatility
- Learning and time-varying macroeconomic volatility
- Gauging the effects of fiscal stimulus packages in the Euro area
- The marginal likelihood of dynamic mixture models
- Collateral quality and house prices
- Dynamics of fiscal financing in the United States
- The diversity of forecasts from macroeconomic models of the US economy
- Business cycles through international shocks: a structural investigation
- A naïve sticky information model of households' inflation expectations
- Analysing DSGE models with global sensitivity analysis
- Strategic interactions in U.S. monetary and fiscal policies
- Investment shocks and the comovement problem
- Asset pricing with flexible beliefs
- Small-noise analysis and symmetrization of implicit Monte Carlo samplers
- Testing the assumptions behind importance sampling
- Structural estimation of jump-diffusion processes in macroeconomics
- Methods for inference in large multiple-equation Markov-switching models
- Evaluating DSGE model forecasts of comovements
- Euro area inflation persistence in an estimated nonlinear DSGE model
- Non-linear DSGE models and the optimized central difference particle filter
- DSGE models, detrending, and the method of moments
- Origins of monetary policy shifts: a new approach to regime switching in DSGE models
- Stock market conditions and monetary policy in a DSGE model for the U.S.
- Bayesian inference for nonlinear structural time series models
- Efficient matrix approach for classical inference in state space models
- A survey of sequential Monte Carlo methods for economics and finance
- Nontradable goods and the real exchange rate
- Calvo vs. Rotemberg in a trend inflation world: an empirical investigation
- Second-order approximation of dynamic models with time-varying risk
- Estimation with overidentifying inequality moment conditions
- Bayesian estimation of DSGE models
- Estimating DSGE models using seasonally adjusted and unadjusted data
- Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
- Bayesian near-boundary analysis in basic macroeconomic time-series models☆
- Quasi-Bayesian estimation of time-varying volatility in DSGE models
- Evaluating monetary policy under preferences with zero wealth effect: a Bayesian approach
- Consumer misperceptions, uncertain fundamentals, and the business cycle
- The relationship between DSGE and VAR models
- Uncertainty shocks and firm creation: search and monitoring in the credit market
- Heteroscedastic Proxy Vector Autoregressions
- Business cycle implications of rising household credit market participation in emerging countries
- Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
- Episodes of war and peace in an estimated open economy model
- An estimated stochastic general equilibrium model with partial dollarization: a Bayesian approach
- Modeling U.S. inflation dynamics: a Bayesian nonparametric approach
- EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING*
- Refinements on macroeconomic modeling: the role of non-separability and heterogeneous labor supply
- Quasi-Bayesian model selection
- Comment
- Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-rich environment
- An application of hybrid MCMC and simulation smoother in estimating a DSGE model with measurement errors
- Comment on An and Schorfheide's Bayesian Analysis of DSGE Models
- Local projections, autocorrelation, and efficiency
- DSGE pileups
- Monetary policy shocks: we got news!
- Imperfect information and the house price in a general-equilibrium model
- The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy
- Identification of DSGE models -- the effect of higher-order approximation and pruning
- On the stability of Calvo-style price-setting behavior
- Optimal inflation rates with the trending relative price of investment
- DSGE models in macroeconometrics: an introduction to the minimal econometric interpretation and its application
- Penalized indirect inference
- The effects of public spending externalities
- An auxiliary particle filter for nonlinear dynamic equilibrium models
- Non-separability and sectoral comovement in a sticky price model
This page was built for publication: Bayesian Analysis of DSGE Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5292342)
